Jacinda Ardern, who took office in October, said the pregnancy was a “fantastic surprise” and she is due to give birth in June.
She will take six weeks of maternity leave and her partner Clarke Gayford plans to be a “stay-at-home dad”.
Announcing her pregnancy on Facebook, Ms Ardern wrote: “We thought 2017 was a big year! This year we’ll join the many parents who wear two hats.
“I’ll be PM & a mum while Clarke will be ‘first man of fishing’ & stay at home dad.”
Ms Ardern said New Zealand’s deputy prime minister Winston Peters will act as PM during her six-week absence.
She discovered she was pregnant on 13 October — two weeks before the 37-year-old was sworn in as New Zealand’s youngest national leader.
“Clarke and I are privileged to be in the position where Clarke can stay home to be our primary care-giver,” she said.
“Knowing that so many parents juggle the care of their new babies, we consider ourselves to be very lucky.
“Clarke and I have always been clear we wanted to be parents but had been told we would need help for that to happen. That’s made this news a fantastic surprise.”
Ms Ardern, who leads New Zealand’s Labour party, had faced questions from the country’s media about her plans for children in the weeks before the election.
She attracted international attention with her response to one presenter, Mark Richardson, who asked whether it was acceptable for a political leader to take maternity leave while in office and claimed most employers would want to know the maternity plans of their workers.
Ms Ardern, who has previously talked about the difficulties of juggling political life while also wanting to start a family, said she was happy to answer such questions but other women should not feel compelled.
“For other women, it is totally unacceptable in 2017 to say that women should have to answer that question in the workplace,” she responded, while pointing her finger at Richardson.
“That is unacceptable.”